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Dynamical properties of nonmarkovian stochastic differential equations
Hernández Machado, Aurora; San Miguel Ruibal, Maximino
Universitat de Barcelona
We study nonstationary non-Markovian processes defined by Langevin-type stochastic differential equations with an OrnsteinUhlenbeck driving force. We concentrate on the long time limit of the dynamical evolution. We derive an approximate equation for the correlation function of a nonlinear nonstationary non-Markovian process, and we discuss its consequences. Non-Markovicity can introduce a dependence on noise parameters in the dynamics of the correlation function in cases in which it becomes independent of these parameters in the Markovian limit. Several examples are discussed in which the relaxation time increases with respect to the Markovian limit. For a Brownian harmonic oscillator with fluctuating frequency, the non-Markovicity of the process decreases the domain of stability of the system, and it can change an infradamped evolution into an overdamped one.
Matemàtica aplicada
Sistemes no lineals
Processos estocàstics
Applied mathematics
Nonlinear systems
Stochastic processes
(c) American Institute of Physics, 1984
Artículo
American Institute of Physics
         

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